Holdings: Bootstrapping stationary ARMA-GARCH models

Bootstrapping stationary ARMA-GARCH models:

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Bibliographic Details
Main Author:	Shimizu, Kenichi (Author)
Format:	Thesis Book
Language:	English
Published:	Wiesbaden Vieweg + Teubner 2010
Edition:	1. ed.
Series:	Vieweg + Teubner research
Subjects:	Bootstrap-Statistik GARCH-Prozess ARMA-Modell Hochschulschrift
Online Access:	Inhaltsverzeichnis
Physical Description:	XII, 129 S. graph. Darst.
ISBN:	9783834809926

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adam_text	IMAGE 1 CONTENTS 1 INTRODUCTION 1 1.1 FINANCIAL TIME SERIES AND THE GARCH MODEL 1 1.2 THE LIMIT OF THE CLASSICAL STATISTICAL ANALYSIS 3 1.3 AN ALTERNATIVE APPROACH: THE BOOTSTRAP TECHNIQUES 5 1.4 STRUCTURE OF THE BOOK 7 2 BOOTSTRAP DOES NOT ALWAYS WORK 9 2.1 ESTIMATION OF HETEROSCEDASTICITY AND BOOTSTRAP 10 2.2 RESULT OF A FALSE APPLICATION: THE VAR MODEL 13 3 PARAMETRIC AR(P)-ARCH(Q) MODELS 19 3.1 ESTIMATION THEORY 19 3.2 RESIDUAL BOOTSTRAP 37 3.3 WILD BOOTSTRAP 52 3.4 SIMULATIONS 60 4 PARAMETRIC ARMA(P,Q)-GARCH(R,S) MODELS 65 4.1 ESTIMATION THEORY 65 4.2 RESIDUAL BOOTSTRAP 68 4.3 WILD BOOTSTRAP 76 4.4 SIMULATIONS 80 5 SEMIPARAMETRIC AR(P)-ARCH(L) MODELS 85 5.1 ESTIMATION THEORY 85 5.2 RESIDUAL BOOTSTRAP 98 5.3 WILD BOOTSTRAP 115 5.4 SIMULATIONS 117 APPENDIX 121 A CENTRAL LIMIT THEOREMS 123 B MISCELLANEA 125 BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/996781153 DIGITALISIERT DURCH IMAGE 2 XII CONTENTS BIBLIOGRAPHY 127 INDEX 131
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physical	XII, 129 S. graph. Darst.
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spelling	Shimizu, Kenichi Verfasser (DE-588)140392475 aut Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu 1. ed. Wiesbaden Vieweg + Teubner 2010 XII, 129 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Vieweg + Teubner research Zugl.: Braunschweig, Techn. Univ., Diss., 2009 Bootstrap-Statistik (DE-588)4139168-8 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf ARMA-Modell (DE-588)4002933-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content ARMA-Modell (DE-588)4002933-5 s GARCH-Prozess (DE-588)4346436-1 s Bootstrap-Statistik (DE-588)4139168-8 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022494545&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Shimizu, Kenichi Bootstrapping stationary ARMA-GARCH models Bootstrap-Statistik (DE-588)4139168-8 gnd GARCH-Prozess (DE-588)4346436-1 gnd ARMA-Modell (DE-588)4002933-5 gnd
subject_GND	(DE-588)4139168-8 (DE-588)4346436-1 (DE-588)4002933-5 (DE-588)4113937-9
title	Bootstrapping stationary ARMA-GARCH models
title_auth	Bootstrapping stationary ARMA-GARCH models
title_exact_search	Bootstrapping stationary ARMA-GARCH models
title_full	Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu
title_fullStr	Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu
title_full_unstemmed	Bootstrapping stationary ARMA-GARCH models Kenichi Shimizu
title_short	Bootstrapping stationary ARMA-GARCH models
title_sort	bootstrapping stationary arma garch models
topic	Bootstrap-Statistik (DE-588)4139168-8 gnd GARCH-Prozess (DE-588)4346436-1 gnd ARMA-Modell (DE-588)4002933-5 gnd
topic_facet	Bootstrap-Statistik GARCH-Prozess ARMA-Modell Hochschulschrift
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022494545&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT shimizukenichi bootstrappingstationaryarmagarchmodels

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